Optimal stopping in Hilbert spaces and pricing of American options
نویسندگان
چکیده
We consider an optimal stopping problem for a Hilbert-space valued di usion. We prove that the value function of the problem is the unique viscosity solution of an obstacle problem for the associated parabolic partial di erential equation in the Hilbert space. The results are applied to investigate the pricing of American interest rate options in the lognormal Heath-Jarrow-Morton model of yield curve dynamics.
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عنوان ژورنال:
- Math. Meth. of OR
دوره 50 شماره
صفحات -
تاریخ انتشار 1999